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arXiv 2203.08440stat.ME
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基于形状-尺度逆伽马混合的伽马分布观测值稀疏贝叶斯推断

Sparse Bayesian inference on gamma-distributed observations using shape-scale inverse-gamma mixtures

Yasuyuki Hamura, Takahiro Onizuka, Shintaro Hashimoto, Shonosuke Sugasawa

AI总结:

针对高维稀疏伽马分布正值数据,本文提出逆伽马形状-尺度混合的新型全局-局部收缩先验,证明其理论优良性,设计高效后验采样算法,经模拟和两个真实数据实验验证了方法有效性。

摘要:

在各类应用中,我们需要处理通常具有稀疏性的高维正值数据。本文提出了一类新的连续全局-局部收缩先验,专门用于分析伽马分布观测值,这类观测的大部分潜在均值集中在某个特定值附近。与现有收缩先验不同,我们的新先验是逆伽马分布的形状-尺度混合,其后验均值形式具有理想的可解释性,且能实现灵活的收缩效果。我们证明所提先验具备两项优良的理论性质:稀疏性下的Kullback-Leibler超有效性,以及针对大观测值的稳健收缩规则。我们提出了一种用于后验推断的高效采样算法。通过模拟实验和两个真实数据案例(韩国COVID-19患者的平均住院时长、基因表达数据的自适应方差估计)验证了所提方法的性能。

英文摘要:

In various applications, we deal with high-dimensional positive-valued data that often exhibits sparsity. This paper develops a new class of continuous global-local shrinkage priors tailored to analyzing gamma-distributed observations where most of the underlying means are concentrated around a certain value. Unlike existing shrinkage priors, our new prior is a shape-scale mixture of inverse-gamma distributions, which has a desirable interpretation of the form of posterior mean and admits flexible shrinkage. We show that the proposed prior has two desirable theoretical properties; Kullback-Leibler super-efficiency under sparsity and robust shrinkage rules for large observations. We propose an efficient sampling algorithm for posterior inference. The performance of the proposed method is illustrated through simulation and two real data examples, the average length of hospital stay for COVID-19 in South Korea and adaptive variance estimation of gene expression data.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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